It is very much worth it. I swapped in a PI 4.6 from an '01 Grand Marquis, and is one of the best mods I've done. You'll pick up a solid 40-50 rwhp right off the bat, and still have a nice boost-friendly compression ratio.
As far as headaches go, it is very straightforward. Considering that the new motor is coming from another Mustang, it should be a 100% direct swap. Motor, tranny, exhaust manifolds, oil pan, intake system, etc. should be exactly the same.
The only thing I'm not sure about is the engine harness. I think you still have to use your old one, but I'm not sure. If you use the new one, you definitely have to swap over to the COP ignition. Even if you do use the old one, I'd still recommend swapping over to the COP ignition system. No spark plug wires and coil packs looks a lot cleaner under the hood. If you do this, you should be able to use the timing cover from the new motor as well, which has slightly less "things" on it relating to the ignition stuff (i.e. brackets for the coil packs). There is a write-up somewhere on how to swap over the wiring from the coil packs to the COP system. It's very straightforward and only involves splicing a few new wires the old coil pack connectors to the new COP harnesses. Shouldn't take more than an extra hour or two.